Transcript Setting a new industry standard… Exchange Fees Presentation A new standard.

Setting a new industry standard…
Exchange Fees Presentation
A new standard. OneChicago is an equity finance exchange trading security futures regulated
by the SEC and CFTC. Our pricing structure for exchange transactions is value-based…setting a
new industry standard for listing derivatives in a transparent way.
Your value. On
October 1, 2014 OneChicago execution fees were reduced by 75% to $5 per
$1 million dollar executed notional value for all OCX.NoDivRisk ® product suite, which is
composed of the “1D” contracts and the recently launched OCX.Weekly products. This fee
structure reduces transaction friction when opening and closing positions.
Specialized products. OneChicago offers a physically settled OCX.Weekly futures product
with next day settlement for the stock delivery upon expiration. This innovative new product allows
funds to engage in short term equity financing transactions in a regulated and centrally cleared
environment with the knowledge they can receive their original stock position back with five
business days due to the next day settlement of stock.
December 2014
Exchange Fees
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OneChicago fees are determined by product suite: OCX.Original™ (includes all “1C” futures and Futures on
Narrow Based Indexes) product suite or OCX.NoDivRisk® (includes all “1D” futures and our OCX.Weekly
futures) product suite. Fees for each suite are divided into two parts – an execution fee charged to the
executing firm and a daily carry fee charged to the carrying firm. Starting on October 1, 2014 only the
OCX.NoDivRisk products fall under a new fee structure.
OneChicago’s execution fee is based on the executed notional value.
OneChicago’s carry fee is based on notional value per day.
Transaction fees do not include fees firms are required to pay to self regulatory organizations, such as
FINRA and NFA.
No fee for CMTA/Give-ups.
No OneChicago delivery fee.
OneChicago will pass along the posted OCC clearing fee and the Securities and Exchange Commission
(“SEC”) R31 execution fee for security futures.
Please note: for CMTA/Give-Ups, (where one firm executes a trade and then passes the trade off to another
firm to carry) the execution fee will be charged to the Execution Firm, but will not be charged the OCC or
SEC/R31 fees. The firm that receives the trade to carry will not be charged an execution fee, but will be
charged the OCC and SEC/R31 fees.
December 2014
OCX.NoDivRisk (“1D”) Product Suite Fees
Execution Fees for all “1D” and OCX.Weekly products – Execution fee is $5.00 per $1 million dollar
executed notional value for (1D) products. Notional value = (trade price * trade quantity * contract
multiplier). The reduced execution fee for the closing leg of block rolls of 250 contracts or more currently in
place is discontinued for all (1D) products. The execution fees are charged to the executing firm using the
formula:
Notional Value * 0.000005 with a $.01 minimum per trade
That result will then be rounded to the nearest penny using the 4/5 rounding convention with a 1 penny
minimum fee.
Carry Fees for all “1D” and OCX.Weekly products – Carry fee is $1.60 per $1 million dollar notional value
per day. Notional value = (settlement price * long open interest * contract multiplier) + (settlement price *
short open interest * contract multiplier). The carry fee is calculated each morning and charged to the firm
reporting the open interest using the formula:
Open interest notional value * 0.0000016
That result will then be rounded to the nearest penny using the 4/5 rounding convention with a 1 penny
minimum fee.
December 2014
OCX.Original (“1C”) Product Suite
Execution fees for the OCX.Original product suite (1C) remain at the current fee structure of $20.00 per $1
million executed notional value. The current reduced fee for the offsetting leg of a block roll will also remain.
The fee will be calculated separately for each trade executed each day using the following formula:
trade price * trade quantity * contract multiplier * 0.00002
That result will then be rounded to the nearest penny using the 4/5 rounding convention with a 1 penny
minimum fee in place.
Carry fees for the OCX.Original product suite (1C) will remain at the current fee structure of $1.00 per million
notional value per day. The carry fee will be calculated each morning and charged to the firm reporting open
interest using the following formula:
((reported long open interest * settlement price * contract multiplier) +
(reported short open interest * settlement price * contract multiplier))
* 0.000001
That result will then be rounded to the nearest penny using the 4/5 rounding convention with a 1 penny
minimum fee.
Execution fee for the closing leg of a (1C) roll remains 0.00075% (7.5/100th of a basis point) of the notional
value per trade for rolls of 250 contracts or more.
December 2014
Fee Schedule
Fee Structure
Description
Product
Rate
Charged to
2/10th of a basis
OCX.Original Execution Fee
OCX.Original Carry Fee
OCX.NoDivRisk Execution Fee
OCX.NoDivRisk Carry Fee
All OCX.Original SSF and Futures on
Narrow Based Indexes (NBI’s)
point (0.002%) of notional value
with a $.01 minimum
1/100th of a basis point (0.0001%) of
All OCX.Original SSF and Futures on
notional value per calendar day with
Narrow Based Indexes (NBI’s)
$.01 minimum
Executing Firm
Carrying Firm
All OCX.NoDivRisk SSF
5/100th of a basis point (0.0005%) of
Executing Firm
notional value with $.01 minimum
All OCX.NoDivRisk SSF
1.6/100th of a basis point (0.00016%)
of notional value per calendar day
with $.01 minimum
Clearing Firm
December 2014
Daily Carry Fee
The daily carry fee is charged for each calendar day the position is open, including weekends and holidays.
Carry fees are charged each day that an open position is reported, including the last trading date. For
example: the position is put on Wednesday October 1, 2014 and held through expiration on Friday October
17, 2014. A carry fee will be charged for each calendar day between and including October 1 and October
17 for a total of 17 days of carry fees.
OCX.Original Product Suite (1C):
$1.00 per $1 million of open interest notional value per day.
The carry fee will be calculated each morning and charged to the firm reporting open interest using the following formula:
((reported long open interest * settlement price * contract multiplier) +
(reported short open interest * settlement price * contract multiplier))
* 0.000001
That result will then be rounded to the nearest penny using the 4/5 rounding convention with a 1 penny minimum fee.
OCX.NoDivRisk Product Suite (1D):
$1.60 per $1 million of open interest notional value per day.
The carry fee will be calculated each morning and charged to the firm reporting open interest using the following formula:
((reported long open interest * settlement price * contract multiplier) +
(reported short open interest * settlement price * contract multiplier))
* 0.0000016
That result will then be rounded to the nearest penny using the 4/5 rounding convention with a 1 penny minimum fee.
December 2014
OneChicago Fee Data Files
On OneChicago’s secure production billing directory, four (4) files will be available each day for
review -- for your firm.
For the execution portion of the exchange fee one (1) file contains only trades for the trade date. The second
(2) file contains all trades for the month to date. OneChicago maintains separate trade date files. The
month–to-date file will be overwritten each day.
File layout is the same for both files.
Daily
FFF_execution_YYYYMMDD.csv
Monthly
FFF_execution_YYYYMM.csv
December 2014
OneChicago Fee Data Files
Two (2) files will support detailed information for the carry portion of the exchange fee. One file
contains only positions for the trade date. The second (2) file contains all positions for the month
to date. OneChicago maintains separate trade date files. The month to date file will be overwritten
each day.
File layout is the same for both files.
Daily
FFF_carry_YYYYMMDD.csv
Monthly
FFF_carry_YYYYMM.csv
December 2014
OCX.delta1
OCXdelta1 is OneChicago’s new proprietary match platform. OCXdelta1 replaced the current OCX.BETS
platform for blocks and EFPs and its CBOEdirect platform for traditional non-block non-EFP orders. OCXdelta1
supports both the reporting of bilateral blocks and EFP’s as well as the trading of regular, SSF, block, EFP, and
spread markets. The merger of blocks and EFP markets with our SSF markets marks the first time these products
have been available on the same platform.
OCX.RiskMan is a risk control tool that requires all clearing firms to set various risk levels for their
trading/reporting blocks and EFP on the OCX.delta1 system.
OCX.RiskMan rejects orders that violate clearing firm’s pre-determined trading limits including restrictions on
products that the user can transact in, .i.e. restricted list functionality..
OCX.delta1 Front End Trading Screen
OCXdelta1 has a FIX 4.4 API as well as an exchange offered trading screen for low volume users. OneChicago
encourages all interested participants to write to the OCXdelta1 API. Interested parties have the option to
consume FIX market data as well.
Classification
Fee
OCXdelta1 Port Fee – access to trading screen
$500 monthly per port
Trading Login - includes one Market Data
Gateway
$50 monthly per login
Additional Market Data Login
$50 monthly per login
December 2014
OneChicago, LLC
141 West Jackson Blvd.
Suite 1065
Chicago, IL 60604
www.onechicago.com
Contacts:
Maureen Theodore
312.424.8513
[email protected]
Tom McCabe
312.424.8512
[email protected]
©2014 OneChicago LLC. All rights reserved
The information in this presentation has been compiled by OneChicago, LLC (OneChicago) for general information
purposes only. Although every attempt has been made to ensure the accuracy of the information, OneChicago
assumes no responsibility for any errors or omissions. Examples herein are hypothetical situations used for
explanation purposes only and should not be considered investment advice. All matters pertaining to rules and
specification herein are made subject to and are superseded by the official OneChicago rules.